The message was delivered to the mailbox - where did it go?
This is the most common scenario [I mean, speaking as one Exchange Admin to another - what else could it be? ;) ].  As a personal aside, your goal is to figure out what happened and calmly point it out to the user.  The user will likely feel embarrassed already - no need to editorialize or lecture.
As discussed in Part 1, a successful message delivery typically means one of the following:
-  It reached the mailbox and was segregated or deleted by a system function
-  It reached the mailbox and was segregated or deleted by a client function
-  It reached the mailbox and was segregated or deleted by a user function
-  It reached the mailbox and was manually segregated or deleted
System function typically means forwarding configured in AD
To check for forwarding, open the Users & Computers console (ADUC) and open the properties of the recipient's object.  On the Exchange General tab go to Delivery Options.  Any forwarding configured at the Active Directory level will appear there.
Client functions include anti-virus/anti-spam filtering, and directing new messages to a personal folder
Check the console and logs of any 3rd-party anti-virus and anti-spam software.  Check the Junk E-mail folder in the user's mailbox.
Check all workstations this user logs on to for a profile that directs all new messages to a Personal Folder instead of to the mailbox.
User functions include rules, auto-archiving, and viewing filters
Check for and disable any viewing filters in Outlook (View-->ArrangeBy-->Custom)
Check for auto-archiving (File-->Archive), look in all Personal folders listed in the Outlook profile.  Search for all PST files on the local drive and all mapped drives.
Check for rules (Tools-->Rules and Alerts)
If the ruleset is empty, there is still a possibility that something formerly in rules is still acting on messages.  To make sure, close Outlook, then launch it again from a command line using the /cleanrules switch (e.g. outlook.exe /cleanrules)
If the ruleset is not empty and you wish to keep them, you can export the set to a file then import again later.
Remember that the Out Of Office function can also have rules.  If OOO is enabled, make sure you check that configuration for rules.
Manual processes initiated by the user
Look for and search any PST files in the Outlook profile and on the local drive.
Look in the Deleted Items folder.  Look at the Recover Deleted Items area.
Search the other folders for items which were Shift-Deleted.